/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.instrument.annuity;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import org.threeten.bp.Period;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.instrument.index.IborIndex;
import com.opengamma.analytics.financial.instrument.payment.CouponDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponIborGearingDefinition;
import com.opengamma.analytics.financial.instrument.payment.CouponIborRatchetDefinition;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.Annuity;
import com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponIborRatchet;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Coupon;
import com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed;
import com.opengamma.analytics.financial.interestrate.payments.derivative.Payment;
import com.opengamma.analytics.financial.schedule.ScheduleCalculator;
import com.opengamma.analytics.util.time.TimeCalculator;
import com.opengamma.financial.convention.businessday.BusinessDayConvention;
import com.opengamma.financial.convention.businessday.BusinessDayConventions;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
import com.opengamma.financial.convention.daycount.DayCount;
import com.opengamma.financial.convention.daycount.DayCounts;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.zdt.ImmutableZonedDateTimeDoubleTimeSeries;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.DateUtils;
/**
* Tests the constructor of annuities of Ibor ratchets.
*/
@Test(groups = TestGroup.UNIT)
public class AnnuityCouponIborRatchetDefinitionTest {
private static final Calendar CALENDAR = new MondayToFridayCalendar("A");
private static final Currency CUR = Currency.EUR;
//Euribor 3m
private static final int INDEX_TENOR_MONTH = 3;
private static final Period INDEX_TENOR = Period.ofMonths(INDEX_TENOR_MONTH);
private static final int SETTLEMENT_DAYS = 2;
private static final DayCount DAY_COUNT = DayCounts.ACT_360;
private static final BusinessDayConvention BUSINESS_DAY = BusinessDayConventions.MODIFIED_FOLLOWING;
private static final boolean IS_EOM = true;
private static final IborIndex IBOR_INDEX = new IborIndex(CUR, INDEX_TENOR, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM, "Ibor");
//Annuity description
private static final ZonedDateTime SETTLEMENT_DATE = DateUtils.getUTCDate(2011, 9, 7);
private static final int ANNUITY_TENOR_YEAR = 2;
private static final Period ANNUITY_TENOR = Period.ofYears(ANNUITY_TENOR_YEAR);
private static final int NB_COUPON = ANNUITY_TENOR_YEAR * 12 / INDEX_TENOR_MONTH;
private static final boolean IS_PAYER = false;
private static final double NOTIONAL = 100000000; // 100m
private static final double[] MAIN_COEF = new double[] {0.4, 0.5, 0.0010 };
private static final double[] FLOOR_COEF = new double[] {0.75, 0.00, 0.00 };
private static final double[] CAP_COEF = new double[] {1.50, 1.00, 0.0050 };
private static final double FIRST_CPN_RATE = 0.02;
private static final String DISCOUNTING_CURVE_NAME = "Discounting";
private static final String FORWARD_CURVE_NAME = "Forward";
private static final String[] CURVES_NAMES = {DISCOUNTING_CURVE_NAME, FORWARD_CURVE_NAME };
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 9, 5);
@Test
public void constructorFixed() {
final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
final CouponDefinition[] cpn = new CouponDefinition[NB_COUPON];
cpn[0] = new CouponFixedDefinition(CUR, paymentDates[0], SETTLEMENT_DATE, paymentDates[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, paymentDates[0]), NOTIONAL, FIRST_CPN_RATE);
for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = new CouponIborRatchetDefinition(CUR, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn], DAY_COUNT.getDayCountFraction(paymentDates[loopcpn - 1],
paymentDates[loopcpn]), NOTIONAL, ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR), IBOR_INDEX, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
}
final AnnuityCouponIborRatchetDefinition annuity = new AnnuityCouponIborRatchetDefinition(cpn, CALENDAR);
for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
assertEquals("Annuity Ratchet Ibor: constructor", cpn[loopcpn], annuity.getNthPayment(loopcpn));
}
final AnnuityCouponIborRatchetDefinition annuityFixed = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER, FIRST_CPN_RATE,
MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
assertEquals("Annuity Ratchet Ibor: constructor", annuity, annuityFixed);
}
@Test
public void constructorIborGearing() {
final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
final CouponDefinition[] cpn = new CouponDefinition[NB_COUPON];
cpn[0] = CouponIborGearingDefinition.from(SETTLEMENT_DATE, paymentDates[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, paymentDates[0]), NOTIONAL, IBOR_INDEX, MAIN_COEF[2], MAIN_COEF[1],
CALENDAR);
for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = new CouponIborRatchetDefinition(CUR, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn], DAY_COUNT.getDayCountFraction(paymentDates[loopcpn - 1],
paymentDates[loopcpn]), NOTIONAL, ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR), IBOR_INDEX, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
}
final AnnuityCouponIborRatchetDefinition annuity = new AnnuityCouponIborRatchetDefinition(cpn, CALENDAR);
for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
assertEquals("Annuity Ratchet Ibor: constructor", cpn[loopcpn], annuity.getNthPayment(loopcpn));
}
final AnnuityCouponIborRatchetDefinition annuityGearing = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER, MAIN_COEF,
FLOOR_COEF, CAP_COEF, CALENDAR);
assertEquals("Annuity Ratchet Ibor: constructor", annuity, annuityGearing);
}
@Test
/**
* Tests the toDerivatives for Ibor Ratchet when no fixing data is provided.
*/
public void toDerivativesFixedNoFixing() {
final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
FIRST_CPN_RATE, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
@SuppressWarnings("unchecked")
final Annuity<Payment> annuity = (Annuity<Payment>) annuityDefinition.toDerivative(REFERENCE_DATE);
final Coupon[] cpn = new Coupon[NB_COUPON];
for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
}
final Annuity<Payment> annuity2 = new Annuity<Payment>(cpn);
assertTrue("Annuity Ratchet Ibor: toDerivatives", annuity2.equals(annuity));
}
@Test
/**
* Tests the toDerivatives for Ibor Ratchet when no fixing data is provided.
*/
public void toDerivativesIborNoFixing() {
final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
@SuppressWarnings("unchecked")
final Annuity<Payment> annuity = (Annuity<Payment>) annuityDefinition.toDerivative(REFERENCE_DATE);
final Coupon[] cpn = new Coupon[NB_COUPON];
for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
}
final Annuity<Payment> annuity2 = new Annuity<Payment>(cpn);
assertTrue("Annuity Ratchet Ibor: toDerivatives", annuity2.equals(annuity));
}
@Test
/**
* Tests the toDerivatives for Ibor Ratchet when fixing data is provided but not used.
*/
public void toDerivativesFixingNotUsed() {
final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
FIRST_CPN_RATE, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE, 0.0);
final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS);
final Coupon[] cpn = new Coupon[NB_COUPON];
for (int loopcpn = 0; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
}
final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
assertEquals("Annuity Ratchet Ibor: toDerivatives", annuity, annuity2);
}
@Test
/**
* Tests the toDerivatives for Ibor Ratchet when fixing data is provided but not used.
*/
public void toDerivativesIborNotFixed() {
final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE.minusDays(1), 0.02);
final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS);
final Coupon[] cpn = new Coupon[NB_COUPON];
cpn[0] = ((CouponIborGearingDefinition) annuityDefinition.getNthPayment(0)).toDerivative(REFERENCE_DATE, fixingTS);
for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
}
final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
assertEquals("Annuity Ratchet Ibor: toDerivatives " + loopcpn, annuity.getNthPayment(loopcpn), annuity2.getNthPayment(loopcpn));
}
}
@Test
/**
* Tests the toDerivatives for Ibor Ratchet when fixing data is used for Ibor.
*/
public void toDerivativesIborFixed() {
final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponIborGearing(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(REFERENCE_DATE, 0.02);
final AnnuityCouponIborRatchet annuity = annuityDefinition.toDerivative(REFERENCE_DATE, fixingTS);
final Coupon[] cpn = new Coupon[NB_COUPON];
cpn[0] = ((CouponIborGearingDefinition) annuityDefinition.getNthPayment(0)).toDerivative(REFERENCE_DATE, fixingTS);
for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn).toDerivative(REFERENCE_DATE);
}
final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
assertEquals("Annuity Ratchet Ibor: toDerivatives " + loopcpn, annuity.getNthPayment(loopcpn), annuity2.getNthPayment(loopcpn));
}
}
/**
* Tests the toDerivatives for Ibor Ratchet when fixing data is provided and used for one coupon.
*/
@Test
public void toDerivativesOneFixing() {
final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 9);
final AnnuityCouponIborRatchetDefinition annuityDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
FIRST_CPN_RATE, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
final double fixing = 0.01;
final DoubleTimeSeries<ZonedDateTime> fixingTS = ImmutableZonedDateTimeDoubleTimeSeries.of(DateUtils.getUTCDate(2011, 12, 5), fixing);
final Annuity<Coupon> annuity = annuityDefinition.toDerivative(referenceDate, fixingTS);
final Coupon[] cpn = new Coupon[NB_COUPON - 1];
double rate = MAIN_COEF[0] * FIRST_CPN_RATE + MAIN_COEF[1] * fixing + MAIN_COEF[2];
rate = Math.max(rate, FLOOR_COEF[0] * FIRST_CPN_RATE + FLOOR_COEF[1] * fixing + FLOOR_COEF[2]);
rate = Math.min(rate, CAP_COEF[0] * FIRST_CPN_RATE + CAP_COEF[1] * fixing + CAP_COEF[2]);
cpn[0] = new CouponFixed(CUR, TimeCalculator.getTimeBetween(referenceDate, annuityDefinition.getNthPayment(1).getPaymentDate()), annuityDefinition.getNthPayment(1)
.getPaymentYearFraction(), NOTIONAL, rate, annuityDefinition.getNthPayment(1).getAccrualStartDate(), annuityDefinition.getNthPayment(1).getAccrualEndDate());
for (int loopcpn = 1; loopcpn < NB_COUPON - 1; loopcpn++) {
cpn[loopcpn] = (Coupon) annuityDefinition.getNthPayment(loopcpn + 1).toDerivative(referenceDate);
}
final AnnuityCouponIborRatchet annuity2 = new AnnuityCouponIborRatchet(cpn);
assertEquals("Annuity Ratchet Ibor: toDerivatives", annuity, annuity2);
}
//TODO: two fixing
}